A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs

A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs

Modern Portfolio Theory is the ground upon which most works in portfolio optimization context find their foundations. Many studies attempt to extend the Modern Portfolio Theory to include short sale, leverage and transaction costs, features not considered in Markowitz’s seminal work from 1...

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Bibliographic Details
Main Authors: Giorgio Arici, Marco Dalai, Riccardo Leonardi, Arnaldo Spalvieri
Format: Article
Language:English
Published: MDPI AG 2018-12-01
Series:Journal of Risk and Financial Management
Subjects:
modern portfolio theory
portfolio optimization
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Online Access:http://www.mdpi.com/1911-8074/12/1/4

Internet

http://www.mdpi.com/1911-8074/12/1/4

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